Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0896
Annualized Std Dev 0.1954
Annualized Sharpe (Rf=0%) 0.4587

Row

Daily Return Statistics

Close
Observations 3743.0000
NAs 1.0000
Minimum -0.0896
Quartile 1 -0.0055
Median 0.0009
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0069
Maximum 0.1038
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0008
Variance 0.0002
Stdev 0.0123
Skewness -0.2240
Kurtosis 5.7775

Downside Risk

Close
Semi Deviation 0.0090
Gain Deviation 0.0083
Loss Deviation 0.0093
Downside Deviation (MAR=210%) 0.0136
Downside Deviation (Rf=0%) 0.0088
Downside Deviation (0%) 0.0088
Maximum Drawdown 0.3960
Historical VaR (95%) -0.0191
Historical ES (95%) -0.0292
Modified VaR (95%) -0.0192
Modified ES (95%) -0.0334
From Trough To Depth Length To Trough Recovery
2007-05-23 2009-03-05 2010-01-13 -0.3960 667 450 217
2015-07-17 2020-03-23 2021-01-11 -0.3644 1382 1179 203
2011-07-08 2011-08-08 2011-12-20 -0.1688 116 22 94
2010-03-24 2010-06-08 2010-09-20 -0.1160 125 53 72
2014-03-05 2014-04-14 2014-06-20 -0.1063 76 29 47

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA 0.9 0.7 0 0.6 0.5 -0.9 0 -0.3 1.5
2007 0.6 -0.6 0 -0.3 0.1 -0.5 0.9 1.1 1.1 -2 0.1 -1.1 -0.7
2008 1.9 -1.4 2.4 1.9 0.7 0.6 0.3 -1.2 0.3 1.8 -6.8 1.8 1.9
2009 -1.8 -3.5 0.2 -0.2 0.7 0.5 -0.4 -1.3 -1.9 -1.1 1.3 -0.8 -8
2010 0.4 0.9 0.5 -0.7 -1.8 -1.3 0.5 2.5 0 -0.4 1.4 -0.1 1.8
2011 1.4 -0.8 0.9 -0.2 -1.6 1.1 -1.4 -1.2 -1 -1.6 -0.1 -0.2 -4.7
2012 1.3 0.7 0.4 -0.2 -2 2 -0.5 0 0.4 0.9 0 1.2 4.2
2013 0.7 0.4 -0.4 -2.1 -2.1 0.8 1.1 -0.6 1.3 0.8 -0.1 0.2 -0.1
2014 -0.8 -1.3 0.3 0.4 0.4 1.5 0 0.5 -0.8 -0.5 -1.2 -0.3 -1.7
2015 -1.8 -0.8 -0.9 1.6 0.1 0.6 0.8 -2.2 1 -1.3 1.9 -1.1 -1.9
2016 -0.1 1.8 1.6 -1.3 0.7 1.1 0.4 -0.1 0.8 0.5 -1.7 0.5 4.2
2017 0.9 1.1 -0.5 0.1 1 -0.3 -1 0.1 0.9 0.8 -0.1 -0.5 2.4
2018 0.5 -1.6 0.8 0 1.1 0.1 0.3 0.5 -1.2 2.6 1.1 1.3 5.4
2019 0.4 1.7 0.2 0.1 -0.8 0.8 -0.2 -0.1 -0.6 0.2 -0.1 0.4 2
2020 -1.1 -1.6 -3.7 -2.3 -0.9 0.2 -0.7 -1.4 -0.4 -1 0.9 0.6 -10.9
2021 0.7 0.6 0.4 NA NA NA NA NA NA NA NA NA 1.8

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2006-05-05  50.2 SPY    133.  0.0088    0.008    0.0115   0.0495    0.128    0.411   0.0609 GLD    68.0  0.0076   0.0446
2 2006-05-08  50.1 SPY    132. -0.00120   0.015    0.0114   0.0455    0.130    0.417   0.0418 GLD    67.6 -0.0063   0.0368
3 2006-05-09  49.8 SPY    133.  0.002     0.0094   0.0238   0.0569    0.126    0.434   0.0457 GLD    69.7  0.0314   0.047 
4 2006-05-10  49.5 SPY    133. -0.0005    0.0127   0.0217   0.0468    0.137    0.414   0.0586 GLD    70.4  0.01     0.059 
5 2006-05-11  49.1 SPY    131. -0.0121   -0.0031   0.018    0.0359    0.117    0.380   0.0283 GLD    71.0  0.0092   0.0526
6 2006-05-12  48.7 SPY    129. -0.0131   -0.0248   0.0028   0.0205    0.115    0.365   0.0238 GLD    71.1  0.0013   0.046 
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart